Gabauer, DavidGupta, Rangan2018-08-022018-10Gabauer, D. & Gupta, R. 2018, 'On the transmission mechanism of country-specific and international economic uncertainty spillovers : evidence from a TVP-VAR connectedness decomposition approach', 'Economics Letters, vol. 171, pp. 63-71.0165-1765 (print)1873-7374 (online)10.1016/j.econlet.2018.07.007http://hdl.handle.net/2263/66059We investigate the internal and external categorical economic policy uncertainty (EPU) spillovers between the US and Japan using a novel extension of the TVP-VAR connectedness approach of Antonakakis and Gabauer (2017). The decomposition of our approach gives us insights about the dynamics with and without international spillovers which has essential policy implications. Our results suggest that monetary policy uncertainty is the main driver, followed by uncertainties associated with fiscal, currency market and trade policies. Furthermore, we find that the Fukushima Daiichi accident can be interpreted as a negative trade shock that spread internationally.en© 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Economics Letters, vol. 171, pp. 63-71, 2018. doi : 10.1016/j.econlet.2018.07.007.Spillover decompositionDynamic connectednessTVP-VAREconomic policy uncertainty (EPU)Postprint Article